Abstract
This paper investigates interactions between seasonal and cyclical movements in U.S. payroll employment. Using a multivariate unobserved components model, we test for such interactions and find that they are statistically significant in a number of industries. Still, most industry-level seasonality appears to be idiosyncratic. The model also identifies an unobserved common cycle that exhibits similar business cycle properties, but smaller seasonal variation, than aggregate payroll employment. The overall industry-level seasonal factors generated by our model do not differ much from univariate X-11 seasonals in sample, but some differences arise in out-of-sample experiments.
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